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Engulfer

  • Post #1
  • Quote
  • First Post: Edited Oct 22, 2015 3:14am Oct 14, 2015 10:16am | Edited Oct 22, 2015 3:14am

Attached Image (click to enlarge)
Click to Enlarge Name: engulfer_ts.PNG Size: 66 KB



RISK WARNING

All Expert Advisors (Robots), Indicators, Trading Systems posted by me

​are Trading Tools developed for Experimental purposes.

Using any of these tools on a real account carries a high degree of risk.

I will not be held responsible for any losses incurred by any one uses these tools.



Engulfer Trading System (ETS) uses engulfing as an entry method where trader can select the number (n) of engulfed candles (e.g. 1, 2, 3 ... etc).
The system generates both trend reversal signals and trend continuation signals after pull backs.
It uses high RR (Reward to Risk) ratio, 3 or higher.

The engulfing method implemented here is as follows:
- The system acts on the CURRENT candle to benefit from the break out momentum
- Bullish Engulfer (LONG Signal --> Buy):

* The current candle price should exceed the Highs of all (n) previous candles

* The immediate previous candle should be bearish

* The Low of the current candle should be less or equal than the close of all (n) previous candles

- Bearish Engulfer (SHORT Signal --> Sell):

* The current candle price should exceed the Lows of all (n) previous candles

* The immediate previous candle should be bullish

* The High of the current candle should be greater or equal than the close of all (n) previous candles


// Entry & Exit :--------------------------------------------

- Buy on Bullish Engulfer with stop loss at previous candle low, profit target = RR x Stop Loss

- Sell on Bearish Engulfer, with stop loss at previous candle high, profit target = RR x Stop Loss


// Position Sizing :-----------------------------------------

- Position size can be fixed or automatically calculated by the EA based on Stop Loss and Risk percentage of account free margin, for each trade.


// Trade Timing :---------------------------------------------

- EA has a trading time filter (start hour to end hour Inclusive)

- Time filter is used only for opening trades. While closing is based on SL or TP which can happen any time.

- Time used is Broker Time

- I found better results during European Session GMT 6 to GMT 16, so for example my broker time is GMT + 3, my timing filter will be 9 to 19 ... and so on.



// Constraints :---------------------------------------------

- Only one position at a time per pair/tf

- Only one trade can be taken on the same candle



Sample Chart : EUR/USD H1 with (n) candles set to 3 and RR set to 2


Attached Image (click to enlarge)
Click to Enlarge Name: EURUSDH1_ex2.PNG Size: 89 KB



Tester report : EUR/USD H1 - 2015 with (n) candles set to 2 and RR set to 5

Attached Image (click to enlarge)
Click to Enlarge Name: eng_01_eu_h1_2015.PNG Size: 33 KB



Enhancement Requests ;

  1. kohones : an option to close all positions at profit target "x" (Money / Equity Percentage)
  2. abokwaik : Min SL, Max SL, TS, Min Engulfer Range
  3. MathTrader7 : Break Even option., No Trades on same bar where last trade was closed.
  4. wattaman : entry on retrace %

No guts, no glory
EA Inputs:

 

  1. Magic Number (Unique for each chart) ( default = 40851)
  2. Lot Size, make 0 to use Risk Percentage (default = 0)
  3. Risk Percentage (default = 0.01)
  4. Number of Engulfed Bars (default = 2)
  5. Starting Hour (default = 9) broker time
  6. Ending Hour (default = 18) broker time
  7. Reward_to_Risk (default = 5)
  8. Max Lots (default = 3)


The above inputs where used for EUR/USD H1.

Attached File(s)
File Type: ex4 Engulfer_01.ex4   10 KB | 1,826 downloads
No guts, no glory
  • Post #3
  • Quote
  • Edited Oct 15, 2015 2:23am Oct 14, 2015 11:06am | Edited Oct 15, 2015 2:23am
EUR/USD H1 2015, with Number of Engulfed bars = 3, other inputs as above

Attached Image (click to enlarge)
Click to Enlarge Name: eng_01_eu_h1_2015_3.PNG Size: 33 KB
No guts, no glory
nice work abokwaik. i'm a fan of engulfs and have a number of indicators that point them out. However i have found all somewhat faulted. If your brokers candle opens a fraction out from the previous candles close then the indi's will not pick this up and an engulf is missed. I don't know if it would improve or hinder your system if you re-coded that the new candle can open 1 pip from previous candles close. I've placed a picture to show missed engulfs

Attached Image (click to enlarge)
Click to Enlarge Name: GBPUSDH4.png Size: 36 KB
Quoting kraven
nice work abokwaik. i'm a fan of engulfs and have a number of indicators that point them out. However i have found all somewhat faulted. If your brokers candle opens a fraction out from the previous candles close then the indi's will not pick this up and an engulf is missed. I don't know if it would improve or hinder your system if you re-coded that the new candle can open 1 pip from previous candles close. I've placed a picture to show missed engulfs {image}
Thanks kraven,

For a bearish entry the HIGH (not the open) of the Current Candle should be greater or equal than the CLOSE of the previous candle.
For a bullish entry the LOW (not the open) of the Current Candle should be less or equal than the CLOSE of the previous candle.

This means if there was a Gap it should be closed before taking the signal.
Which I think would be safer than taking the entry while the gap is not closed yet.

Regards,

Khalil
No guts, no glory
Quoting abokwaik
{quote} Thanks kraven, For a bearish entry the HIGH (not the open) of the Current Candle should be greater or equal than the CLOSE of the previous candle. For a bullish entry the LOW (not the open) of the Current Candle should be less or equal than the CLOSE of the previous candle. This means if there was a Gap it should be closed before taking the signal. Which I think would be safer than taking the entry while the gap is not closed yet. Regards, Khalil
ok Khalil.
Hi Abokwaik,


thanks for implementing this strategy.

However, I've let it run through 2010-06-01 until 2015-10-09 on Dukascopy tick data and it failed on the long run because the hit rate went down to 13%. Note that 2010 and 2015 are the only years this strategy had been profitable, which also your backtest indicates.

Attached Image (click to enlarge)
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BUT: When analyzing the trades using QuantAnalyzer4 it came up with some kind of surprise:

Attached Image (click to enlarge)
Click to Enlarge Name: Screenshot_165.jpg Size: 239 KB


Note trading hours 09:00-10:00 Etc/GMT and 15:00 Etc/GMT.

The first two hours are tradeable using an Asia-Range London-Open-Breakout. And the 15:00 Etc/GMT should be some kind of New York Open breakout or something similar.
Quoting Naddmer
Hi Abokwaik, thanks for implementing this strategy. However, I've let it run through 2010-06-01 until 2015-10-09 on Dukascopy tick data and it failed on the long run because the hit rate went down to 13%. Note that 2010 and 2015 are the only years this strategy had been profitable, which also your backtest indicates. {image} BUT: When analyzing the trades using QuantAnalyzer4 it came up with some kind of surprise: {image} Note trading hours 09:00-10:00 Etc/GMT and 15:00 Etc/GMT. The first two hours are tradeable using an Asia-Range London-Open-Breakout....
Valuable findings Naddmer

I'll see how it can be used to improve the system.

Thanks
No guts, no glory
Hello;
I really appreciate what you have done "abokwaik",
I have a trading system called "Significant candle Price Action System" and I'm using it almost for 3 years, I made this system by my self and now I'm profitable with it so when I read this thread I found that your engulfing candle system has a lot of similarity with my Significant candle system so I decide to help you for making this system better, first of all trading based on normal engulfing candle as all of us know is not a profitable system so I recommend you to watch this video from "Walter Peters" and make your EA based on his rules for an engulfing candle:
Inserted Video

If u apply all of his rules for a candle your system win rate will increase significantly!
Without an edge MM is useless!
Quoting abokwaik
{quote} Valuable findings Naddmer I'll see how it can be used to improve the system. Thanks
Thanks a lot. I made a "What-If"-Szenario using QuantAnalyzer4 and discarded in the trade set of the failed backtest:

  1. All trades except (09:00 Etc/GMT to 10:00 Etc/GMT) and (15:00 Etc/GMT to 16:00 Etc/GMT)
  2. All trades on Mondays and Fridays.

as that were the short term unprofitable seasons.

This resulted in that szenario:

Attached Image (click to enlarge)
Click to Enlarge Name: Screenshot_167.jpg Size: 336 KB


in which 2013 and 2015 are the only loss years now.

The downside of this approach is, that it reduces the number of trades to an amount which is questionable to be statistical significant (126 trades instead of more than 800 trades in nearly 1000 trading days).
Quoting afhacker
Hello; I really appreciate what you have done "abokwaik", I have a trading system called "Significant candle Price Action System" and I'm using it almost for 3 years, I made this system by my self and now I'm profitable with it so when I read this thread I found that your engulfing candle system has a lot of similarity with my Significant candle system so I decide to help you for making this system better, first of all trading based on normal engulfing candle as all of us know is not a profitable system so I recommend you to watch this video from...
Thanks afhacker for you comments and the video.
My idea was a bit different, however, I am gonna post a special version of Engulfer that uses Walter Peters' big shadow engulfing candle rules.

No guts, no glory
  • Post #12
  • Quote
  • Edited Oct 15, 2015 1:36am Oct 14, 2015 4:45pm | Edited Oct 15, 2015 1:36am
Quoting Naddmer
{quote} Thanks a lot. I made a "What-If"-Szenario using QuantAnalyzer4 and discarded in the trade set of the failed backtest: All trades except (09:00 Etc/GMT to 10:00 Etc/GMT) and (15:00 Etc/GMT to 16:00 Etc/GMT) All trades on Mondays and Fridays. as that were the short term unprofitable seasons. This resulted in that szenario: {image} in which 2013 and 2015 are the only loss years now. The downside of this approach is, that it reduces the number of trades to an amount which is questionable to be statistical significant (126 trades instead of more...
Thank you Naddmer for your efforts.

I've ran the EA on the 3 majors (EU,GU and UJ) on Daily time frame from 2010 to 2015 with 1:1 RR.
All inputs were the same for the 3 pairs, which minimizes over fitting.

All resulted over 50% win rate.

So I think we may have a positive expectancy system here

Note : tests were using 4-digit broker

Attached Image (click to enlarge)
Click to Enlarge Name: eu_10_15_D1.png Size: 117 KB


Attached Image (click to enlarge)
Click to Enlarge Name: gu_10_15_D1.png Size: 116 KB


Attached Image (click to enlarge)
Click to Enlarge Name: uj_10_15_D1.png Size: 113 KB
No guts, no glory
Quoting afhacker
Hello; I really appreciate what you have done "abokwaik", I have a trading system called "Significant candle Price Action System" and I'm using it almost for 3 years, I made this system by my self and now I'm profitable with it so when I read this thread I found that your engulfing candle system has a lot of similarity with my Significant candle system so I decide to help you for making this system better, first of all trading based on normal engulfing candle as all of us know is not a profitable system so I recommend you to watch this video from...
Thanks for the video.
Interesting.
LDFX Trading Ltd
Halo abokwaik,

what do you mean by (n) candle?

how do you trade it manually? please show with a chart.

thanks and regards,
anton
Quoting antonsatu
Halo abokwaik, what do you mean by (n) candle? how do you trade it manually? please show with a chart. thanks and regards, anton
(n) is the previous engulfed candles.

Here is a screen shot with explanation.

Attached Image (click to enlarge)
Click to Enlarge Name: EURUSDH1_ex.png Size: 83 KB
No guts, no glory
a Valid Bearish Entry in the previous example was not taken due to Time Filter which was set to trade only from Hour 9 to 19.
Notice the Yellow Circle

Attached Image (click to enlarge)
Click to Enlarge Name: EURUSDH1_ex2.PNG Size: 89 KB
No guts, no glory
allow me to pass by and say this is one of the strongest structures to be in a trade
i always keep an eye on such a structure
keep it the good work folks
this gonna be something i am sure
Senior Trader Multi-Account Manager
This is an ALERT ONLY version of Engulfer_01 for people who might want to trade it manually.
Attached File(s)
File Type: ex4 Engulfer_01_Alert_Only.ex4   8 KB | 1,106 downloads
No guts, no glory
Quoting lorix
allow me to pass by and say this is one of the strongest structures to be in a trade i always keep an eye on such a structure keep it the good work folks this gonna be something i am sure
Thanks Issam,

Its nice to see Jordanian fellows active here at ff.

All the best,

Khalil
No guts, no glory
abokwaik,

Thanks a lot for your kind and useful help & explaination.
It's great.
Best Regards,
anton

Quoting abokwaik
{quote} (n) is the previous engulfed candles. Here is a screen shot with explanation. {image}
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